Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0008 |
| Annualized Std Dev | 0.1482 |
| Annualized Sharpe (Rf=0%) | 0.0057 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1015 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.1709 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0093 |
| Skewness | 0.4698 |
| Kurtosis | 37.6161 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0067 |
| Gain Deviation | 0.0074 |
| Loss Deviation | 0.0078 |
| Downside Deviation (MAR=210%) | 0.0117 |
| Downside Deviation (Rf=0%) | 0.0067 |
| Downside Deviation (0%) | 0.0067 |
| Maximum Drawdown | 0.5000 |
| Historical VaR (95%) | -0.0124 |
| Historical ES (95%) | -0.0219 |
| Modified VaR (95%) | -0.0069 |
| Modified ES (95%) | -0.0069 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-07-08 | 2008-10-10 | 2011-12-30 | -0.5000 | 1634 | 822 | 812 |
| 2012-11-30 | 2020-03-23 | NA | -0.3830 | 2090 | 1839 | NA |
| 1999-01-05 | 2000-05-15 | 2003-06-09 | -0.2705 | 1112 | 344 | 768 |
| 2003-06-16 | 2004-05-10 | 2005-07-01 | -0.1674 | 517 | 228 | 289 |
| 2012-02-01 | 2012-03-16 | 2012-07-25 | -0.1039 | 122 | 32 | 90 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0 | 0 | -1.3 | -0.5 | -0.9 | 0.9 | 0 | 0.5 | 0 | 1.1 | 1.7 | 1.5 |
| 2000 | -0.5 | -1.1 | 2.2 | -0.5 | 1.6 | 1 | -0.5 | 0.5 | 0 | 0 | 0 | -0.1 | 2.6 |
| 2001 | 0.2 | 0.5 | 0.9 | -0.1 | -0.1 | -0.3 | 0.4 | -0.1 | 0.7 | 1.1 | -0.2 | 1.6 | 4.7 |
| 2002 | -0.3 | 0.2 | -0.4 | -0.5 | 0.4 | -0.2 | 1.2 | 0.1 | 0.1 | 0 | 0.6 | 0.1 | 1.3 |
| 2003 | 0.4 | 0.1 | 0.4 | 0.6 | 0.3 | 0.9 | 0.4 | 0.5 | 0.3 | 0.3 | -0.2 | 0.6 | 4.6 |
| 2004 | 0.9 | 0.2 | 0.3 | 0.4 | 0.2 | 0.8 | 0.8 | -0.1 | -0.1 | 0.5 | -0.1 | 0.5 | 4.4 |
| 2005 | 0.3 | 0 | 1 | 0.3 | 0.3 | 0.1 | 0.1 | 0.5 | 0.8 | 0.1 | 0.1 | 0.1 | 3.9 |
| 2006 | -0.3 | -0.1 | -0.1 | 0 | 0.8 | -0.1 | -0.2 | 0.1 | 0.1 | 0.8 | 0.8 | 1.1 | 2.9 |
| 2007 | -0.1 | 0.2 | -0.1 | 0.5 | -0.1 | 0.5 | 0.1 | 0.7 | 0.4 | 0.2 | 0.3 | 1.1 | 3.7 |
| 2008 | -0.1 | -2.2 | 1.2 | -0.3 | 0 | 0.6 | -0.5 | 0.2 | 3.5 | 2.4 | -2.2 | 0 | 2.4 |
| 2009 | -3.3 | 0.3 | 1.1 | 0.1 | 0 | 1.6 | -0.5 | 0.4 | -0.1 | 0 | 0.2 | 0.4 | 0.3 |
| 2010 | -0.8 | 0.2 | 0 | 0.1 | -0.1 | 0.1 | 0.4 | -0.1 | 0.4 | 0 | -2.1 | 2.6 | 0.7 |
| 2011 | 1.2 | -0.1 | 1 | 0.2 | 0.9 | 1 | 3.1 | 0.7 | -0.3 | 2.3 | 0.7 | 0.8 | 11.9 |
| 2012 | -0.5 | -0.2 | -0.6 | 0.6 | -0.2 | 0.9 | -0.1 | -0.3 | 0.4 | 0.1 | -0.3 | -1.1 | -1.4 |
| 2013 | -0.5 | 0.1 | -0.1 | -0.1 | -2.3 | 1.4 | -1.1 | 0 | -0.4 | -1.1 | 0.1 | -0.1 | -4 |
| 2014 | 0.3 | 0.1 | -0.4 | 0.1 | 0.1 | 0 | 0.3 | 0.3 | 0.6 | -0.3 | 0.5 | -0.8 | 0.8 |
| 2015 | 0.5 | 0.9 | 0.3 | -0.5 | -0.2 | 0.3 | 1.4 | -0.1 | 0.3 | 0.4 | 1 | 0.3 | 4.8 |
| 2016 | 0.4 | -0.4 | -0.2 | 0.2 | 0.7 | 0.1 | -0.4 | 0.4 | -0.5 | 0.1 | -0.4 | 0.3 | 0.3 |
| 2017 | -0.3 | -0.5 | 0.3 | 0.4 | 0.6 | 0.2 | 0 | 0.5 | -0.5 | -0.2 | 0.5 | 0.1 | 1.2 |
| 2018 | -0.3 | -0.2 | 1 | 0.1 | -0.2 | 0.3 | 0.5 | 0.1 | -0.4 | -0.1 | -0.1 | -0.1 | 0.6 |
| 2019 | 0.2 | -0.4 | 0.1 | 0.4 | 0.3 | -0.3 | 0.8 | 0.5 | 0 | -0.3 | -0.5 | 0 | 0.9 |
| 2020 | 0 | -0.8 | -1 | 0 | 1 | 0 | 0.4 | 0.5 | 0.9 | 0.3 | 0.7 | -0.3 | 1.6 |
| 2021 | 0.5 | -1 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
